How do I transfer downloaded movies from Netflix to USB ?

You cannot use downloaded files on Netflix on another computer due to DRM used, so there is no need to copy files to USB device. (I’m not entirely sure if downloading from Netflix includes, it may be downloaded to the local archive for offline play).

What you want to do will require “broken” Netflix encryption, this is often referred to as ripping the movie, I’m not sure that’s possible. There are controversial Netflix shows available online, probably.